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refactor(accrual): 拆分FundingLegAccrual→SimpleInterestAccrual/CompoundInterestAccrual

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单利与复利语义完全不同(单利本金恒定/复利重置日并本金),
拆成两个独立静态类,各自只含自己的方法:

SimpleInterestAccrual:
- AccrueEod (原AccrueSimpleEod)
- AccruePeriod (原AccrueSimplePeriod)

CompoundInterestAccrual:
- EodBasis (原CompoundEodBasis)
- AccrueEod (原AccrueCompoundEod)
- AccruePeriod (原AccrueCompoundPeriod)

方法名去掉Simple/Compound前缀(类名已携带类型),消除冗余
SwapModule零回归(7基线/510通过)
This commit is contained in:
hjhan
2026-08-12 13:40:47 +08:00
parent 57156feec1
commit 9d8cfb5ad0
8 changed files with 257 additions and 258 deletions
Download Patch File Download Diff File Expand all files Collapse all files
UnitTestProject/Modules/SwapModule/Accrual/CompoundEodShadowTest.cs
+3 -3
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@@ -13,7 +13,7 @@ using YLErp.Core.Interest;
namespace UnitTestProject.Modules.SwapModule.Accrual
{
/// <summary>
/// 影子测试：CalcDailyCompoundInterestByEod（旧逐日循环）vs FundingLegAccrual.AccrueCompoundEod（新纯函数）。
/// 影子测试：CalcDailyCompoundInterestByEod（旧逐日循环）vs CompoundInterestAccrual.AccrueEod（新纯函数）。
/// 构造同一组参数，两套实现并行跑，断言结果一致（到分）。
/// </summary>
[TestClass]
@@ -99,7 +99,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
var rate = FundingLegRate.Fixed(FixedRate);
var policy = new AccrualPolicy(AccrualBoundary.Both, true, 7, AnnualDays, true);
var remainingPercent = Math.Max(0m, Math.Min(1m, Notional / Notional));
var result = FundingLegAccrual.AccrueCompoundEod(
var result = CompoundInterestAccrual.AccrueEod(
50_000m, Notional, Notional, 1m, rate, policy,
isResetDay: true, remainingPercent, EodDate);
@@ -131,7 +131,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
// 新方法
var rate = FundingLegRate.Fixed(FixedRate);
var policy = new AccrualPolicy(AccrualBoundary.Both, true, 7, AnnualDays, true);
var result = FundingLegAccrual.AccrueCompoundEod(
var result = CompoundInterestAccrual.AccrueEod(
30_000m, Notional, Notional, 1m, rate, policy,
isResetDay: false, 0m, nonResetDate);
UnitTestProject/Modules/SwapModule/Accrual/CompoundPeriodShadowTest.cs
+4 -4
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@@ -7,7 +7,7 @@ using YLErp.Modules.SwapModule.Accrual;
namespace UnitTestProject.Modules.SwapModule.Accrual
{
/// <summary>
/// 影子测试：CalcDailyCompoundInterest（旧逐日循环）vs FundingLegAccrual.AccrueCompoundPeriod（新分段纯函数）。
/// 影子测试：CalcDailyCompoundInterest（旧逐日循环）vs CompoundInterestAccrual.AccruePeriod（新分段纯函数）。
/// </summary>
[TestClass]
public class CompoundPeriodShadowTest
@@ -86,7 +86,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
(StartDate.AddDays(7), allInRate),
(StartDate.AddDays(14), allInRate),
};
var result = FundingLegAccrual.AccrueCompoundPeriod(
var result = CompoundInterestAccrual.AccruePeriod(
notional: Notional,
segmentRates: segRates,
startDate: StartDate,
@@ -133,7 +133,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
(StartDate.AddDays(7), allInRate),
(StartDate.AddDays(14), allInRate),
};
var result = FundingLegAccrual.AccrueCompoundPeriod(
var result = CompoundInterestAccrual.AccruePeriod(
notional: Notional * closePct,
segmentRates: segRates,
startDate: StartDate,
@@ -177,7 +177,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
(StartDate.AddDays(7), allInRate),
(StartDate.AddDays(14), allInRate),
};
var result = FundingLegAccrual.AccrueCompoundPeriod(
var result = CompoundInterestAccrual.AccruePeriod(
notional: Notional,
segmentRates: segRates,
startDate: StartDate,
UnitTestProject/Modules/SwapModule/Accrual/SimplePeriodShadowTest.cs
+4 -4
View File
@@ -12,7 +12,7 @@ using YLErp.Derivatives.Interest;
namespace UnitTestProject.Modules.SwapModule.Accrual
{
/// <summary>
/// 影子测试：CalcDailySimpleInterest（旧逐日循环）vs FundingLegAccrual.AccrueSimplePeriod（新分段纯函数）。
/// 影子测试：CalcDailySimpleInterest（旧逐日循环）vs SimpleInterestAccrual.AccruePeriod（新分段纯函数）。
/// </summary>
[TestClass]
public class SimplePeriodShadowTest
@@ -106,7 +106,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
// 旧代码差分: dynomicPrincipal = preEod.TdInterestPrincipal(=0) + posiPrincipal - orginPv = 0
var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) };
var accrualPrincipal = 0m + Notional - Notional; // 差分 = 0
var result = FundingLegAccrual.AccrueSimplePeriod(
var result = SimpleInterestAccrual.AccruePeriod(
priorAccrued: 0m,
notional: 0m,
unwindFraction: 1m,
@@ -152,7 +152,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
// 差分本金 = preEod.TdInterestPrincipal + posiPrincipal - orginPv
var accrualPrincipal = Notional + Notional - Notional;
var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) };
var result = FundingLegAccrual.AccrueSimplePeriod(
var result = SimpleInterestAccrual.AccruePeriod(
priorAccrued: 200_000m * 0.5m,
notional: accrualPrincipal,
unwindFraction: 0.5m,
@@ -215,7 +215,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
// 差分本金 = preEod.TdInterestPrincipal + posiPrincipal - orginPv
var accrualPrincipal = Notional + Notional - Notional;
var result = FundingLegAccrual.AccrueSimplePeriod(
var result = SimpleInterestAccrual.AccruePeriod(
priorAccrued: 200_000m * closePct,
notional: accrualPrincipal,
unwindFraction: closePct,
UnitTestProject/Modules/SwapModule/SwapUnwindSameDayDoublePartialTest.cs
+1 -1
View File
@@ -8,7 +8,7 @@ namespace YLErp.Modules.SwapModule
/// 【同日多次部分平仓 · unwind 基数滚动表征测试】
/// ============================================================================
/// 背景：unwind 计息基数公式 basis = priorNotional + notional - baseNotional
/// (FundingLegAccrual / CalcDailyCompoundInterestByEod 同源)，其中
/// (CompoundInterestAccrual / CalcDailyCompoundInterestByEod 同源)，其中
/// - priorNotional = 上一日终归档 eod_swap_position.TdInterestPrincipal
/// - baseNotional = orginPv = ResolveUnwindPreviousNotional(lastEod)（上一日终浮动端名义本金）
/// - notional = 当前持仓名义本金（posiNotionalValue，来自实时持仓）
YLErpDAL/Modules/SwapModule/Accrual/CompoundInterestAccrual.cs
+132
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@@ -0,0 +1,132 @@
using YLErp.Core.Interest;
using YLErp.Derivatives.Interest;
namespace YLErp.Modules.SwapModule.Accrual;
/// <summary>
/// 复利计息纯函数——EOD 单日 + intraday 多日。
/// 复利特征：每个重置日把累计利息并入本金(basis = notional + accrued)。
/// </summary>
public static class CompoundInterestAccrual
{
private const int Precision = SwapInterest.FundingLegPrecision;
/// <summary>复利日终计息基数（单一真相源，纯函数与调用方共用）：
/// 重置日 = notional + 累计利息×剩余比例(利息并入本金)；非重置日 = priorNotional（昨日滚动基数）。
/// remainingFraction 对齐 legacy 钳制到 [0,1]。</summary>
public static decimal EodBasis(
bool isResetDay, decimal notional, decimal priorAccrued, decimal remainingFraction, decimal priorNotional)
=> isResetDay
? notional + priorAccrued * Math.Max(0m, Math.Min(1m, remainingFraction))
: priorNotional;
/// <summary>
/// 复利日终计息（替换 CalcDailyCompoundInterestByEod 的纯数学部分）。
/// 重置日：basis = notional + priorAccrued × remainingFraction（利息并入本金）。
/// 非重置日：basis = priorNotional（昨日终滚动计息基数）。
/// </summary>
public static InterestResult AccrueEod(
decimal priorAccrued,
decimal priorNotional,
decimal notional,
decimal unwindFraction,
FundingLegRate rate,
AccrualPolicy policy,
bool isResetDay,
decimal remainingFraction,
DateTime eodDate,
AccrualTrace? trace = null)
{
var basis = EodBasis(isResetDay, notional, priorAccrued, remainingFraction, priorNotional);
var displayBasis = basis * unwindFraction;
var allInRate = rate.AllInRate;
trace?.EodContext(eodDate, isResetDay, unwindFraction, priorAccrued, priorNotional, notional, remainingFraction);
var dayInterest = displayBasis * allInRate;
var tdInterest = basis * allInRate;
if (policy.IsAnnualized)
{
dayInterest /= policy.AnnualDays;
tdInterest /= policy.AnnualDays;
}
var totalAccrued = priorAccrued * unwindFraction + dayInterest;
var result = new InterestResult(
SwapInterest.Round(totalAccrued, Precision),
SwapInterest.Round(tdInterest, Precision));
trace?.Day(0, eodDate, allInRate, displayBasis, dayInterest, totalAccrued);
trace?.MarkEnd(result.Accrued, result.AccruedToday);
return result;
}
/// <summary>
/// 复利多日计息（替换 CalcDailyCompoundInterest 的纯数学部分）。
/// 从 startDate 到 endDate 全程重放，每个重置日把累计利息并入本金。
/// </summary>
public static InterestResult AccruePeriod(
decimal notional,
IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
DateTime startDate,
DateTime endDate,
AccrualBoundary boundary,
int annualDays,
bool isAnnualized,
decimal resetCarryInterest,
decimal realizedInterest,
decimal unwindFraction,
out decimal finalBasis,
AccrualTrace? trace = null)
{
decimal accrualBasis = notional;
decimal accrued = 0m;
trace?.MarkStart(startDate, endDate, boundary, annualDays, isAnnualized);
for (int si = 0; si < segmentRates.Count; si++)
{
var isLastSegment = si == segmentRates.Count - 1;
var segEnd = isLastSegment
? endDate
: segmentRates[si + 1].StartDate;
// 重置日并本金
accrualBasis = si == 0 ? notional : notional + accrued;
// 末日恰好是重置日且 carry 非零：用存量替代（旧代码 i%interestPeriod==0 && accrueDate==endDate）。
var usedCarry = false;
if (isLastSegment && si > 0 && resetCarryInterest != 0m
&& segmentRates[si].StartDate == endDate)
{
accrualBasis = notional + resetCarryInterest;
usedCarry = true;
}
if (si > 0)
trace?.Rollover(segmentRates[si].StartDate, usedCarry ? resetCarryInterest : accrued, accrualBasis);
var segIncludeStart = (si == 0) ? boundary.IncludeStart : true;
var segIncludeEnd = isLastSegment ? boundary.IncludeEnd : false;
var days = SwapInterest.AccrualDays(segmentRates[si].StartDate, segEnd,
AccrualBoundary.Of(segIncludeStart, segIncludeEnd));
if (days <= 0) continue;
var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
var segInterest = accrualBasis * dailyRate * days;
accrued += segInterest;
trace?.Segment(si, segmentRates[si].StartDate, segEnd, days, segmentRates[si].Rate, accrualBasis, segInterest, accrued);
}
finalBasis = accrualBasis;
if (realizedInterest != 0m)
trace?.Unwind(endDate, unwindFraction, realizedInterest * unwindFraction, accrued - realizedInterest * unwindFraction);
accrued -= realizedInterest * unwindFraction;
var result = new InterestResult(
SwapInterest.Round(accrued, Precision),
SwapInterest.Round(accrued, Precision));
trace?.MarkEnd(result.Accrued, result.AccruedToday);
return result;
}
}
YLErpDAL/Modules/SwapModule/Accrual/FundingLegAccrual.cs
-239
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@@ -1,239 +0,0 @@
using YLErp.Core.Interest;
using YLErp.Derivatives.Interest;
namespace YLErp.Modules.SwapModule.Accrual;
/// <summary>
/// 融资腿计息编排层——纯数学部分（替换 SwapDealService 内 CalcDaily* 家族的纯计算）。
///
/// 命名规范（对齐 QuantLib / Strata）：
/// - notional → 计息名义本金（不用 principal，swap leg 用 notional 是业界标准）
/// - accrued → 累计应计利息
/// - unwindFraction → 平仓比例（0~1）
/// - realizedInterest → 历史已结利息（legacy: consumedInterest）
/// - priorNotional → 昨日终滚动计息基数（legacy: TdInterestPrincipal / dynomicPrincipal）
/// </summary>
public static class FundingLegAccrual
{
private const int Precision = SwapInterest.FundingLegPrecision;
/// <summary>复利日终计息基数（单一真相源，纯函数与调用方共用）：
/// 重置日 = notional + 累计利息×剩余比例(利息并入本金)；非重置日 = priorNotional（昨日滚动基数）。
/// remainingFraction 对齐 legacy 钳制到 [0,1]。</summary>
public static decimal CompoundEodBasis(
bool isResetDay, decimal notional, decimal priorAccrued, decimal remainingFraction, decimal priorNotional)
=> isResetDay
? notional + priorAccrued * Math.Max(0m, Math.Min(1m, remainingFraction))
: priorNotional;
/// <summary>
/// 单利日终计息（替换 CalcDailySimpleInterestByEod 的纯数学部分）。
/// EOD 无差分：basis = priorNotional（昨日终滚动计息基数）。
/// </summary>
public static InterestResult AccrueSimpleEod(
decimal priorAccrued,
decimal priorNotional,
decimal unwindFraction,
FundingLegRate rate,
AccrualPolicy policy,
DateTime eodDate,
AccrualTrace? trace = null)
{
var basis = priorNotional;
var displayBasis = basis * unwindFraction;
var allInRate = rate.AllInRate;
var dayInterest = displayBasis * allInRate;
var tdInterest = basis * allInRate;
if (policy.IsAnnualized)
{
dayInterest /= policy.AnnualDays;
tdInterest /= policy.AnnualDays;
}
var totalAccrued = priorAccrued + dayInterest;
var result = new InterestResult(
SwapInterest.Round(totalAccrued, Precision),
SwapInterest.Round(tdInterest, Precision));
trace?.Day(0, eodDate, allInRate, displayBasis, dayInterest, totalAccrued);
trace?.MarkEnd(result.Accrued, result.AccruedToday);
return result;
}
/// <summary>
/// 复利日终计息（替换 CalcDailyCompoundInterestByEod 的纯数学部分）。
/// 重置日：basis = notional + priorAccrued × remainingFraction（利息并入本金）。
/// 非重置日：basis = priorNotional（昨日终滚动计息基数）。
/// </summary>
public static InterestResult AccrueCompoundEod(
decimal priorAccrued,
decimal priorNotional,
decimal notional,
decimal unwindFraction,
FundingLegRate rate,
AccrualPolicy policy,
bool isResetDay,
decimal remainingFraction,
DateTime eodDate,
AccrualTrace? trace = null)
{
var basis = CompoundEodBasis(isResetDay, notional, priorAccrued, remainingFraction, priorNotional);
var displayBasis = basis * unwindFraction;
var allInRate = rate.AllInRate;
trace?.EodContext(eodDate, isResetDay, unwindFraction, priorAccrued, priorNotional, notional, remainingFraction);
var dayInterest = displayBasis * allInRate;
var tdInterest = basis * allInRate;
if (policy.IsAnnualized)
{
dayInterest /= policy.AnnualDays;
tdInterest /= policy.AnnualDays;
}
var totalAccrued = priorAccrued * unwindFraction + dayInterest;
var result = new InterestResult(
SwapInterest.Round(totalAccrued, Precision),
SwapInterest.Round(tdInterest, Precision));
trace?.Day(0, eodDate, allInRate, displayBasis, dayInterest, totalAccrued);
trace?.MarkEnd(result.Accrued, result.AccruedToday);
return result;
}
/// <summary>
/// 单利多日计息（替换 CalcDailySimpleInterest 的纯数学部分）。
/// 本金全程恒定，按重置日分段取利率。
/// Accrued = 缩放累计(InterestAmount)，AccruedToday = 未缩放累计(TdInterestAmount)。
/// </summary>
public static InterestResult AccrueSimplePeriod(
decimal priorAccrued,
decimal notional,
decimal unwindFraction,
IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
DateTime startDate,
DateTime endDate,
DateTime priorValueDate,
AccrualBoundary boundary,
int annualDays,
bool isAnnualized,
AccrualTrace? trace = null)
{
var displayBasis = notional * unwindFraction;
decimal accrued = priorAccrued; // 缩放累计 → InterestAmount
decimal accruedUnscaled = priorAccrued; // 未缩放累计 → TdInterestAmount
trace?.MarkStart(startDate, endDate, boundary, annualDays, isAnnualized);
var segStart = startDate;
for (int si = 0; si < segmentRates.Count; si++)
{
var segEnd = si < segmentRates.Count - 1
? segmentRates[si + 1].StartDate
: endDate;
var effectiveStart = segStart > priorValueDate ? segStart : priorValueDate.AddDays(1);
if (effectiveStart > segEnd) { segStart = segEnd; continue; }
// calcFirst 只跳过 startDate 本身；其余天(含重置日、ValueDate+1)只要 > ValueDate 恒纳入。
// 与旧逐日循环一致：if (!calcFirst && accrueDate == startDate) continue 是唯一的首日跳过。
// 中间段的 segIncludeStart 被 days<=0 跳过后误置 false，此处按 startDate 判定而非继承标记。
var includeStart = effectiveStart == startDate ? boundary.IncludeStart : true;
// calcLast 只影响 endDate 本身——只有真正的末段(si==Count-1)才算尾，
// 不能用 segEnd==endDate 判断（interestPeriod=1 时中间段 segEnd 也可能==endDate）。
var isLastSegment = si == segmentRates.Count - 1;
var segBoundary = AccrualBoundary.Of(includeStart, isLastSegment && boundary.IncludeEnd);
var days = SwapInterest.AccrualDays(effectiveStart, segEnd, segBoundary);
if (days <= 0) { segStart = segEnd; continue; }
var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
var segInterest = displayBasis * dailyRate * days;
accrued += segInterest;
accruedUnscaled += notional * dailyRate * days;
trace?.Segment(si, effectiveStart, segEnd, days, segmentRates[si].Rate, displayBasis, segInterest, accrued);
segStart = segEnd;
}
var result = new InterestResult(
SwapInterest.Round(accrued, Precision),
SwapInterest.Round(accruedUnscaled, Precision));
trace?.MarkEnd(result.Accrued, result.AccruedToday);
return result;
}
/// <summary>
/// 复利多日计息（替换 CalcDailyCompoundInterest 的纯数学部分）。
/// 从 startDate 到 endDate 全程重放，每个重置日把累计利息并入本金。
/// </summary>
public static InterestResult AccrueCompoundPeriod(
decimal notional,
IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
DateTime startDate,
DateTime endDate,
AccrualBoundary boundary,
int annualDays,
bool isAnnualized,
decimal resetCarryInterest,
decimal realizedInterest,
decimal unwindFraction,
out decimal finalBasis,
AccrualTrace? trace = null)
{
decimal accrualBasis = notional;
decimal accrued = 0m;
trace?.MarkStart(startDate, endDate, boundary, annualDays, isAnnualized);
for (int si = 0; si < segmentRates.Count; si++)
{
var isLastSegment = si == segmentRates.Count - 1;
var segEnd = isLastSegment
? endDate
: segmentRates[si + 1].StartDate;
// 重置日并本金
accrualBasis = si == 0 ? notional : notional + accrued;
// 末日恰好是重置日且 carry 非零：用存量替代（旧代码 i%interestPeriod==0 && accrueDate==endDate）。
// 注意：必须同时判断 startDate==endDate——endDate 非重置日时最后一段起点 < endDate，不应触发。
var usedCarry = false;
if (isLastSegment && si > 0 && resetCarryInterest != 0m
&& segmentRates[si].StartDate == endDate)
{
accrualBasis = notional + resetCarryInterest;
usedCarry = true;
}
// 复利每段起点：记录并本金瞬间（非首段 = 利息滚入计息基数）
if (si > 0)
trace?.Rollover(segmentRates[si].StartDate, usedCarry ? resetCarryInterest : accrued, accrualBasis);
// 半开区间：重置日归下一段（旧代码逐日循环中重置日先更新本金再算息）
var segIncludeStart = (si == 0) ? boundary.IncludeStart : true;
var segIncludeEnd = isLastSegment ? boundary.IncludeEnd : false;
var days = SwapInterest.AccrualDays(segmentRates[si].StartDate, segEnd,
AccrualBoundary.Of(segIncludeStart, segIncludeEnd));
if (days <= 0) continue;
var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
var segInterest = accrualBasis * dailyRate * days;
accrued += segInterest;
trace?.Segment(si, segmentRates[si].StartDate, segEnd, days, segmentRates[si].Rate, accrualBasis, segInterest, accrued);
}
finalBasis = accrualBasis;
// 扣除历史已结利息
if (realizedInterest != 0m)
trace?.Unwind(endDate, unwindFraction, realizedInterest * unwindFraction, accrued - realizedInterest * unwindFraction);
accrued -= realizedInterest * unwindFraction;
var result = new InterestResult(
SwapInterest.Round(accrued, Precision),
SwapInterest.Round(accrued, Precision));
trace?.MarkEnd(result.Accrued, result.AccruedToday);
return result;
}
}
YLErpDAL/Modules/SwapModule/Accrual/SimpleInterestAccrual.cs
+106
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@@ -0,0 +1,106 @@
using YLErp.Core.Interest;
using YLErp.Derivatives.Interest;
namespace YLErp.Modules.SwapModule.Accrual;
/// <summary>
/// 单利计息纯函数——EOD 单日 + intraday 多日。
/// 单利特征：本金全程恒定(无并本金)，按重置日分段取利率。
/// </summary>
public static class SimpleInterestAccrual
{
private const int Precision = SwapInterest.FundingLegPrecision;
/// <summary>
/// 单利日终计息（替换 CalcDailySimpleInterestByEod 的纯数学部分）。
/// EOD 无差分：basis = priorNotional（昨日终滚动计息基数）。
/// </summary>
public static InterestResult AccrueEod(
decimal priorAccrued,
decimal priorNotional,
decimal unwindFraction,
FundingLegRate rate,
AccrualPolicy policy,
DateTime eodDate,
AccrualTrace? trace = null)
{
var basis = priorNotional;
var displayBasis = basis * unwindFraction;
var allInRate = rate.AllInRate;
var dayInterest = displayBasis * allInRate;
var tdInterest = basis * allInRate;
if (policy.IsAnnualized)
{
dayInterest /= policy.AnnualDays;
tdInterest /= policy.AnnualDays;
}
var totalAccrued = priorAccrued + dayInterest;
var result = new InterestResult(
SwapInterest.Round(totalAccrued, Precision),
SwapInterest.Round(tdInterest, Precision));
trace?.Day(0, eodDate, allInRate, displayBasis, dayInterest, totalAccrued);
trace?.MarkEnd(result.Accrued, result.AccruedToday);
return result;
}
/// <summary>
/// 单利多日计息（替换 CalcDailySimpleInterest 的纯数学部分）。
/// 本金全程恒定，按重置日分段取利率。
/// Accrued = 缩放累计(InterestAmount)，AccruedToday = 未缩放累计(TdInterestAmount)。
/// </summary>
public static InterestResult AccruePeriod(
decimal priorAccrued,
decimal notional,
decimal unwindFraction,
IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
DateTime startDate,
DateTime endDate,
DateTime priorValueDate,
AccrualBoundary boundary,
int annualDays,
bool isAnnualized,
AccrualTrace? trace = null)
{
var displayBasis = notional * unwindFraction;
decimal accrued = priorAccrued; // 缩放累计 → InterestAmount
decimal accruedUnscaled = priorAccrued; // 未缩放累计 → TdInterestAmount
trace?.MarkStart(startDate, endDate, boundary, annualDays, isAnnualized);
var segStart = startDate;
for (int si = 0; si < segmentRates.Count; si++)
{
var segEnd = si < segmentRates.Count - 1
? segmentRates[si + 1].StartDate
: endDate;
var effectiveStart = segStart > priorValueDate ? segStart : priorValueDate.AddDays(1);
if (effectiveStart > segEnd) { segStart = segEnd; continue; }
// calcFirst 只跳过 startDate 本身；其余天(含重置日、ValueDate+1)只要 > ValueDate 恒纳入。
var includeStart = effectiveStart == startDate ? boundary.IncludeStart : true;
var isLastSegment = si == segmentRates.Count - 1;
var segBoundary = AccrualBoundary.Of(includeStart, isLastSegment && boundary.IncludeEnd);
var days = SwapInterest.AccrualDays(effectiveStart, segEnd, segBoundary);
if (days <= 0) { segStart = segEnd; continue; }
var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
var segInterest = displayBasis * dailyRate * days;
accrued += segInterest;
accruedUnscaled += notional * dailyRate * days;
trace?.Segment(si, effectiveStart, segEnd, days, segmentRates[si].Rate, displayBasis, segInterest, accrued);
segStart = segEnd;
}
var result = new InterestResult(
SwapInterest.Round(accrued, Precision),
SwapInterest.Round(accruedUnscaled, Precision));
trace?.MarkEnd(result.Accrued, result.AccruedToday);
return result;
}
}
YLErpDAL/Modules/SwapModule/SwapDealService.cs
+7 -7
View File
@@ -1386,7 +1386,7 @@ namespace YLErp.Modules.SwapModule
// 纯函数复利计息：分段重置日并本金 + resetCarryInterest + 扣 consumedInterest
var interestTrace = new AccrualTrace();
var result = FundingLegAccrual.AccrueCompoundPeriod(
var result = CompoundInterestAccrual.AccruePeriod(
notional: principal,
segmentRates: segmentRates,
startDate: startDate,
@@ -1428,7 +1428,7 @@ namespace YLErp.Modules.SwapModule
// 纯函数计息：Accrued=缩放累计(InterestAmount)，AccruedToday=未缩放累计(TdInterestAmount)
var interestTrace = new AccrualTrace();
var result = FundingLegAccrual.AccrueSimplePeriod(
var result = SimpleInterestAccrual.AccruePeriod(
priorAccrued: preEodPosition.InterestProfitSum * closePercent,
notional: accrualBasis,
unwindFraction: closePercent,
@@ -1477,7 +1477,7 @@ namespace YLErp.Modules.SwapModule
? Math.Max(0m, Math.Min(1m, principal / posiPrincipal))
: 1m;
// 纯数学下沉至 FundingLegAccrual.AccrueCompoundEod（DDD 命名 + 末位生产精度 12 舍入）。
// 纯数学下沉至 CompoundInterestAccrual.AccrueEod（DDD 命名 + 末位生产精度 12 舍入）。
var isFixedLeg = string.IsNullOrEmpty(position.FloatRateUnderlyingCode);
var legRate = isFixedLeg
? FundingLegRate.Fixed(flowEvent.InterestRate)
@@ -1491,7 +1491,7 @@ namespace YLErp.Modules.SwapModule
// 完整计息 trace：前后日期/基数/利率/重置标志全过程，经 SwapCalcTrace 常驻落盘（关键路径日志）。
var interestTrace = new AccrualTrace();
var result = FundingLegAccrual.AccrueCompoundEod(
var result = CompoundInterestAccrual.AccrueEod(
priorAccrued: preEodPosition.InterestProfitSum,
priorNotional: preEodPosition.TdInterestPrincipal,
notional: posiPrincipal,
@@ -1506,7 +1506,7 @@ namespace YLErp.Modules.SwapModule
// flowEvent.InterestPrincipal：当日计息基数(已按平仓比例缩放)——下游 EOD 用它播种次日 TdInterestPrincipal。
// 复用 CompoundEodBasis 单一真相源（与 AccrueCompoundEod 内部同一公式）。
flowEvent.InterestPrincipal = FundingLegAccrual.CompoundEodBasis(
flowEvent.InterestPrincipal = CompoundInterestAccrual.EodBasis(
isResetDay, posiPrincipal, preEodPosition.InterestProfitSum, remainingFraction,
preEodPosition.TdInterestPrincipal) * closePercent;
@@ -1533,7 +1533,7 @@ namespace YLErp.Modules.SwapModule
flowEvent.FloatRate = effectiveFloat;
// 纯数学下沉至 FundingLegAccrual（DDD 命名 + 末位生产精度 12 舍入），行为与上版逐字对齐。
// 纯数学下沉至 SimpleInterestAccrual（DDD 命名 + 末位生产精度 12 舍入），行为与上版逐字对齐。
// 利率构成按腿型封装：固定腿 → FixedRate；浮动腿 → Spread + IndexFixing（沿用旧实现 InterestRate+浮动利率 的口径）。
var isFixedLeg = string.IsNullOrEmpty(position.FloatRateUnderlyingCode);
var legRate = isFixedLeg
@@ -1547,7 +1547,7 @@ namespace YLErp.Modules.SwapModule
isAnnualized: position.IsAnnualized);
// 完整计息 trace：收集器由适配器创建，随后经 SwapCalcTrace 常驻落盘（关键路径日志，无条件）。
var interestTrace = new AccrualTrace();
var result = FundingLegAccrual.AccrueSimpleEod(
var result = SimpleInterestAccrual.AccrueEod(
priorAccrued: preEodPosition.InterestProfitSum,
priorNotional: preEodPosition.TdInterestPrincipal,
unwindFraction: closePercent,